NFLX Options History — August 2012

In August 2012, NFLX traded between $0.77 and $0.94. ATM implied volatility averaged 48.0%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 36.3% (HV 20d: 84.3%). Max pain ranged from $0.93 to $1.04. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.88.

Notable Days

2012-08-03: Highest Volume — 4,411,540 contracts
2012-08-15: Largest IV drop — 21.5% change
2012-08-01: Highest IV Rank — 45.0%
2012-08-01: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.87	$0.77	$0.94	$0.78	$0.85
Max Pain	$0.97	$0.93	$1.04	$1.00	$0.93
ATM IV	48.0%	39.0%	67.2%	67.2%	40.5%
Expected Move	13.7%	12.7%	16.0%	16.0%	13.1%
HV 20d	84.3%	29.4%	119.0%	119.0%	35.4%
HV 60d	77.4%	75.2%	79.7%	79.1%	75.7%
IV Rank	16.9%	3.8%	45.0%	45.0%	5.9%
IV Percentile	11.2%	0.8%	61.9%	61.9%	1.2%
Term Structure	5.9%	-0.5%	11.5%	-0.5%	4.1%
VWIV	48.6%	44.8%	56.9%	56.9%	46.6%
Skew 25d	2.5%	0.3%	5.1%	1.8%	2.8%
Skew 10d	4.2%	-1.0%	8.3%	2.3%	4.5%
Call IV 25d	47.4%	44.1%	56.6%	56.6%	45.9%
Put IV 25d	49.9%	46.0%	58.4%	58.4%	48.7%
Bid-Ask Spread %	5.68	3.81	7.62	4.83	5.55
Gamma HHI	0.13	0.08	0.54	0.13	0.12
Net GEX	-855.4K	-5.5M	10.6M	-5.2M	-3.1M
Net DEX	270.1M	86.1M	488.5M	472.1M	271.0M
Net VEX	-1.8M	-1.9M	-1.5M	-1.6M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.51	1.50	1.11	1.08
Total Volume	2,416,369.565	598,010	4,411,540	3,361,190	2,347,030
Total OI	25,887,019.565	20,770,470	29,737,610	27,030,780	23,217,600

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-08-01	$0.78	$1.00	67.2%	16.0%	119.0%	45.0%	56.9%	1.8%	-0.5%	-5.2M	472.1M	-1.6M	1.11	4.83	N/A	N/A	1,596,560	1,764,630	15,754,060	11,276,720
2012-08-02	$0.77	$1.00	54.6%	15.4%	107.0%	26.6%	54.9%	0.6%	0.3%	-5.5M	485.1M	-1.6M	0.88	3.81	N/A	N/A	1,364,440	1,203,790	16,243,360	11,593,260
2012-08-03	$0.77	$1.00	51.3%	14.3%	106.9%	21.8%	51.1%	0.7%	1.4%	-4.0M	488.5M	-1.5M	1.45	4.76	N/A	N/A	1,801,240	2,610,300	16,616,250	11,763,570
2012-08-06	$0.81	$1.04	56.1%	14.7%	109.4%	28.8%	52.6%	5.1%	8.0%	-3.6M	410.9M	-1.7M	0.77	5.83	N/A	N/A	1,790,040	1,370,390	16,209,970	11,496,030
2012-08-07	$0.83	$1.04	57.8%	14.7%	110.1%	31.3%	52.0%	4.9%	7.7%	-2.2M	372.8M	-1.7M	1.05	7.58	N/A	N/A	1,304,170	1,365,980	16,746,450	11,802,630
2012-08-08	$0.83	$1.04	49.4%	14.7%	109.5%	19.0%	51.9%	4.3%	7.9%	-2.7M	385.4M	-1.7M	1.10	6.56	N/A	N/A	737,170	807,310	16,884,210	12,127,430
2012-08-09	$0.83	$1.00	46.1%	14.3%	107.7%	14.1%	51.1%	4.3%	9.2%	-2.7M	387.7M	-1.7M	1.50	5.36	N/A	N/A	643,510	964,040	17,072,090	12,248,810
2012-08-10	$0.86	$1.00	47.2%	14.1%	109.2%	15.8%	50.4%	3.5%	8.8%	10.6M	320.3M	-1.8M	0.62	6.83	N/A	N/A	2,685,200	1,670,200	17,180,240	12,260,080
2012-08-13	$0.86	$1.00	46.3%	13.0%	109.3%	14.4%	46.5%	2.0%	11.5%	-2.5M	350.5M	-1.7M	0.79	5.75	N/A	N/A	1,223,040	964,740	16,907,380	11,967,900
2012-08-14	$0.88	$1.00	49.8%	13.3%	110.6%	19.5%	47.3%	0.3%	9.9%	-659.9K	280.1M	-1.8M	0.55	7.62	N/A	N/A	2,845,710	1,551,480	17,092,740	12,107,970
2012-08-15	$0.90	$0.96	39.0%	13.2%	111.4%	3.8%	46.5%	1.6%	10.3%	1.8M	225.2M	-1.9M	0.71	6.65	N/A	N/A	1,592,990	1,138,340	17,491,600	12,246,010
2012-08-16	$0.92	$0.93	44.3%	12.7%	111.2%	11.5%	45.4%	2.3%	11.5%	2.0M	163.2M	-1.8M	0.65	6.01	N/A	N/A	1,194,200	772,940	16,797,550	11,518,780
2012-08-17	$0.91	$0.93	45.2%	13.0%	111.2%	12.8%	45.8%	1.8%	11.5%	-332.5K	191.0M	-1.8M	0.51	7.33	N/A	N/A	2,443,980	1,252,300	16,728,600	11,607,960
2012-08-20	$0.92	$0.93	46.1%	13.2%	111.3%	14.2%	46.9%	1.8%	2.4%	323.8K	130.0M	-1.9M	0.63	5.89	N/A	N/A	1,499,050	944,720	11,998,280	8,772,190
2012-08-21	$0.94	$0.93	44.5%	12.7%	111.8%	11.7%	44.8%	1.9%	3.6%	2.8M	86.1M	-1.9M	0.85	4.32	N/A	N/A	1,308,580	1,108,100	12,524,680	9,032,800
2012-08-22	$0.93	$0.93	44.6%	12.8%	41.6%	12.0%	45.4%	2.4%	3.9%	2.3M	101.9M	-1.9M	0.91	5.25	N/A	N/A	635,950	581,280	12,603,500	9,401,070
2012-08-23	$0.91	$0.93	45.2%	13.0%	36.5%	12.8%	46.7%	2.6%	3.9%	183.8K	145.8M	-1.9M	1.01	5.47	N/A	N/A	1,202,670	1,209,670	12,731,180	9,665,740
2012-08-24	$0.90	$0.93	45.7%	13.1%	35.6%	13.6%	46.1%	3.1%	3.7%	-1.2M	183.4M	-1.9M	0.91	5.17	N/A	N/A	1,071,140	976,080	12,914,230	10,023,370
2012-08-27	$0.89	$0.93	46.4%	13.3%	35.1%	14.6%	48.3%	2.2%	4.2%	-1.6M	187.7M	-1.8M	0.74	4.64	N/A	N/A	774,690	570,500	12,506,060	9,768,150
2012-08-28	$0.90	$0.93	45.2%	13.0%	34.3%	12.8%	46.3%	2.8%	4.5%	-1.0M	175.9M	-1.8M	0.58	5.51	N/A	N/A	558,950	322,700	12,737,200	9,963,660
2012-08-29	$0.91	$0.93	45.1%	12.9%	29.4%	12.7%	45.4%	2.2%	4.3%	-16.2K	157.1M	-1.8M	0.70	5.38	N/A	N/A	351,820	246,190	12,896,100	10,018,750
2012-08-30	$0.86	$0.93	46.8%	13.4%	34.8%	15.1%	47.9%	2.7%	4.4%	-3.3M	240.5M	-1.7M	1.14	4.47	N/A	N/A	565,600	643,090	12,863,620	10,021,620
2012-08-31	$0.85	$0.93	40.5%	13.1%	35.4%	5.9%	46.6%	2.8%	4.1%	-3.1M	271.0M	-1.7M	1.08	5.55	N/A	N/A	1,127,980	1,219,050	13,016,850	10,200,750